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DE LA SALLE UNIVERSITY

ECONOMETRICS FOR FINANCE 2 (MFIMET2)


Course Syllabus
College: College of Business
Department: Financial Management
Course Code: MFIMET2
TERM: TERM 2 AY 2012-2013
Professor: Daniel S. Hofilena
I.

Course Description

This is a 3-unit course in advanced econometrics. This course briefly


reviews the core concepts of the linear regression model that include the
problems of estimation and inference. This course primarily deals with the
study of special topics in econometrics that will be the essential research
tools for financial analysis. Among the special models that will be
discussed are qualitative choice models, panel data econometric models,
simultaneous econometric models, time series econometric models and
time series forecasting models. Furthermore, this course will provide
applications of these models in the field of finance and give an overview
of its importance in market analysis.
II.

Learning Outcomes
Upon the completion of MFIMET2, students are expected to:
EXPECTED LASALLIAN
GRADUATE ATTRIBUTES
Creative and Critical Thinking

Reflective Life Long Learning

LEARNING
OUTCOME
(Knowledge, Skills and Values)
1. To understand and apply
the different approaches to
correct for violations of
standard assumptions.
2. To understand and evaluate
econometric
studies
bearing
in
mind
the
stringent requirements of
strict exogeneity and the
fragility of causal inference
using OLS to understand,
apply and model simple
time series processes
3. To appreciate estimation

4.

5.

A Service Driven Citizen

6.

Technical
Proficiency
and
Competency
as
Business
Professionals

7.

8.

III.

frameworks
of
econometrics- the ordinary
least squares and the
special
regression
techniques.
To
appreciate
the
usefulness
of
the
asymptotic properties of
econometric models.
To ensure and appreciate
the
need
for
proper
application of techniques to
different
research
questions.
To develop the capacity of
the student to use tools
from special topics to
answer research questions
in economics and finance
and
hopefully
use
econometrics
to
understand and analyze
social problems.
To develop the capacity to
understand the limitation of
OLS as a technique for
causal inference.
To develop the capacity to
use statistical software to
estimate
econometric
models.

Final Course Output

The students are required to accomplish the following major course outputs:
1. Research Homework
2. Problem Sets
3. Term Paper
IV.

Requirements and Assessments

1. There will be at least 3 exams during the duration of the course. The
exams will test the students understanding of econometric methods
through problems involving the following:

a. Interpretation and analysis of results from regressions and


standard hypothesis testing.
b. Explanation and elaboration of various econometric concepts and
ideas.
c. Writing of proofs for certain propositions in econometrics.
d. Testing of the students knowledge of key concepts & theories of
econometrics
2. The course will require the submission of problem sets to reinforce
classroom lectures and computer demonstrations and test the
students ability to apply econometric concepts to answer questions of
interest. This involves the use of statistical software to estimate
econometric models.
3. The course will require the submission of a term paper. This
requirement allows the students to have an integrated and practical
application of classroom theoretical discussion and computer software
demonstrations.
4. There will be research assignments to be given out to the students in
order to facilitate better understanding and comprehension of class
lectures.
5. There will be short assessment exams to test the understanding of the
students regarding the lectures. These MAY OR MAY NOT BE
GRADED.
V.

Grading System

Adopting the University guidelines on the grading system, the final course
grades will be computed using the following scheme in order to assess the
students performance and knowledge of material in this course. The passing
mark for this course is 70 percent.
Requirement
Quizzes
Final Exam
Term Paper
Class
Participation

Percentage

(Recitation,

40%
20%
15%
15%

Research Assignments, Assessment


Exams & Attendance)
Problem Sets
Total

VI.

10%
100%

Course Outline

No. Of Meetings
1

Topics
Introduction and Review
of Key Concepts of
Statistics and Algebra
-Mean, Variance,
Covariance, Correlation
Coefficient
-Types of Distribution
-Hypothesis testing (Type
1 & 2 Error )
-Algebraic concepts of
Expected Values and
Summation
MFIMET1 Review
-Data Types
-CLRM
-Assumptions of CLRM
-Violations
(Multicollinearity, AutoCorrelation,
Heteroscedasticity)

Readings
Gujarati, Appendix A

Panel Data
-Naive Model
-Fixed effects model
-Model Selection

Gujarati, Chapter 16

Dynamic Econometric
Models
-Reasons for lags
-Estimation
-Koyck Approach
-Adaptive expectations
model & -Partial
adjustment model
-Auto regressive models

Gujarati, Chapter 17

Gujarati, Chapters
1,3,10,11 & 12

Time-series econometrics
models
-Stationarity and spurious
regression
-Unit root testing
-Cointigration

Gujarati, Chapter 21

Time-series Forecasting
-Autoregressive models
(AR)
-Moving average models
(MA)
-ARIMA & ARMA
-Vector auto-regression
-ARCH & GARCH models
Simultaneous Equation
Models
-Simultaneous Equation
Biases
-Problem of Identification
-Estimation of SEM
Qualitative Choice Models
-Binary Response Models
-LPM
-Probit
-Logit

Gujarati, Chapter 22

VII.

Gujarati, Chapters 18,19


& 20

Gujarati, Chapter 15

Additional Policies
1. Guidelines on the University policy regarding academic honesty
will be applied. Therefore, output that is proven to be copied
from existing academic & industry literature or to any output
submitted by other individuals/groups in the class, without
proper citation, will be given a grade of 0.0 for the course (or the
task at hand). In short, DO NOT PLAGIARIZE
2. Students who exceed the maximum allowed number of
absences in accordance to the student handbook will be given
a grade of 0.0 for the entire course.
3. Academic honesty is a must! Those who are caught cheating
in exams will be given a grade of 0.0 for that exam.

VIII. References

1. Gujarati, D. and Porter, D. (2008). Basic Econometrics (5th Edition). New


York: McGraw-Hill Companies. [PRIMARY TEXTBOOK]

*parts of this syllabus were taken from the ones prepared by Ms. Bernadette Aco